Related papers: Return and Volatility Forecasting Using On-Chain F…
The probability distribution of log-returns for financial time series, sampled at high frequency, is the basis for any further developments in quantitative finance. In this letter, we present experimental results based on a large set of…
We consider the tail probabilities of stock returns for a general class of stochastic volatility models. In these models, the stochastic differential equation for volatility is autonomous, time-homogeneous and dependent on only a finite…
We study whether liquidity and volatility proxies of a core set of cryptoassets generate spillovers that forecast market-wide risk. Our empirical framework integrates three statistical layers: (A) interactions between core liquidity and…
Bitcoin constructs temporal order internally rather than synchronizing to any external clock. Empirical evidence shows that its time evolution is non-continuous, probabilistic, and self-regulated. Block discovery follows a stochastic…
This document analyzes price discovery in cryptocurrency markets by comparing centralized and decentralized exchanges, as well as spot and futures markets. The study focuses first on Ethereum (ETH) and then applies a similar approach to…
Bitcoin and its decentralized computing paradigm for digital currency trading are one of the most disruptive technology in the 21st century. This paper presents a novel approach to developing a Bitcoin transaction forecast model,…
This study investigates the impact of varying sequence lengths on the accuracy of predicting cryptocurrency returns using Artificial Neural Networks (ANNs). Utilizing the Mean Absolute Error (MAE) as a threshold criterion, we aim to enhance…
Report presents analysis of empirical distribution of future returns of bitcoin (BTC) from BTUSD inverse option prices. Logistic pdf is chosen as underlying distribution to fit option prices. The result is satisfactory and suggests that…
During a financial crisis, the capital markets network frequently exhibits a high correlation between returns. We developed a network analysis framework based on daily returns from 42 countries to determine systemic stability. Our network…
The functioning of the cryptocurrency Bitcoin relies on the open availability of the entire history of its transactions. This makes it a particularly interesting socio-economic system to analyse from the point of view of network science.…
Bitcoin is firmly becoming a mainstream asset in our global society. Its highly volatile nature has traders and speculators flooding into the market to take advantage of its significant price swings in the hope of making money. This work…
The recent emergence of cryptocurrencies such as Bitcoin and Ethereum has posed possible alternatives to global payments as well as financial assets around the globe, making investors and financial regulators aware of the importance of…
We propose a stochastic volatility model for time series of curves. It is motivated by dynamics of intraday price curves that exhibit both between days dependence and intraday price evolution. The curves are suitably normalized to…
We investigate whether cryptocurrency markets differentiate between infrastructure failures and regulatory enforcement at the return level, complementing a companion conditional variance analysis that finds 5.7 times larger volatility…
Modern Portfolio Theory (MPT) prescribes how to maximise the return of an asset portfolio for a given level of risk. The optimal trade-off between return and variance defines the efficient frontier. Whether actual cryptoasset portfolios…
A technique for on-line estimation of spot volatility for high-frequency data is developed. The algorithm works directly on the transaction data and updates the volatility estimate immediately after the occurrence of a new transaction.…
We assess the applicability of rough volatility models to Bitcoin realized volatility using the normalised p-variation framework of Cont and Das (2024). Applying this model-free estimator to high-frequency Bitcoin data from 2017 to 2024…
In this paper, we present a measure of time irreversibility using trend pattern statistics. We define the irreversibility index as the Kullback-Leibler divergence between the distribution of uptrends subsequences (increasing trends) and the…
Cryptocurrency blockchains, beyond their primary role as distributed payment systems, are increasingly used to store and share arbitrary content, such as text messages and files. Although often non-financial, this hidden content can impact…
Ethereum is one of the most popular blockchain systems that supports more than half a million transactions every day and fosters miscellaneous decentralized applications with its Turing-complete smart contract machine. Whereas it remains…